Persistence probabilities of two-sided (integrated) sums of correlated stationary Gaussian sequences

DOI10.1007/s10955-018-1954-8zbMath1388.60086arXiv1710.05777OpenAlexW3104681800MaRDI QIDQ1753251

Micha Buck, Frank Aurzada

Publication date: 28 May 2018

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.05777

zbMATH Keywords

fractional Brownian motionlong-range dependencefractional Gaussian noisestationary Gaussian processespersistence probability

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Related Items

Persistence probabilities of mixed FBM and other mixed processes ⋮ Universality for persistence exponents of local times of self-similar processes with stationary increments ⋮ Persistence probabilities of weighted sums of stationary Gaussian sequences ⋮ Penalizing fractional Brownian motion for being negative ⋮ Persistence exponents for Gaussian random fields of fractional Brownian motion type ⋮ Generalized survival probabilities in height fluctuations of limited mobility growth models with and without up -- down symmetry

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the one-sided exit problem for stable processes in random scenery
• Statistics of shocks in solutions of inviscid Burgers equation
• The inviscid Burgers equation with initial data of Brownian type
• Persistence probabilities for stationary increment processes
• Small values of the maximum for the integral of fractional Brownian motion
• Maximum of a fractional Brownian motion: Probabilities of small values
• Universality of the asymptotics of the one-sided exit problem for integrated processes
• The inviscid Burgers equation with fractional Brownian initial data: the dimension of regular Lagrangian points
• Stochastic-Process Limits
• Persistence Probabilities and Exponents
• Persistence of fractional Brownian motion with moving boundaries and applications
• Long Range Dependence